Macro Theme:
Key dates ahead:
- 9/30: Quarterly OPEX
9/19: We remain bullish with SPX >6,600, but we will be adding put spreads and/or put flies for expirations near 9/30, playing a potential move to the massive 6,505 JPM strike.
9/18: We look for the rally to continue into Friday OPEX, and then look for a correction next week. 9/30 is circled as potentially a more destabilizing expiration.
Key SG levels for the SPX are:
- Resistance: 6,700, 6,740
- Pivot: 6,600 (bearish <, bullish >)
- Support: 6,670, 6,650, 6,600, 6,500
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Founder’s Note:
Futures are up 20bps after yesterday’s mild decline.
Per the PM note, we saw vols mark lower into yesterday’s decline – a signal of “stock up, vol up” leading to overheated short term price action.
SPX IV’s are now about 1/2 vol point lower than last night. Good news for bulls…
… as is the positive gamma that remains thick >6,600.
Along this theme, the stuff that was down the most yesterday seemed to have the highest relative call IV’s into the session.
ORCL chief among them, which was at $320 overnight on Tuesday, and closed down ~5% to $313. As you can see below, its not all that interesting of a short below 300, and one could frame this all as call IV needs to cool as the stock re-bases around 300. While calls were too expensive (and may still be today) that negative gamma to the upside is ultimately not a bad bullish look…
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| /ESZ25 | SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|---|
| Reference Price: | $6712.26 | $6656 | $663 | $24580 | $598 | $2457 | $243 |
| SG Gamma Index™: |
| 0.831 | -0.294 |
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| SG Implied 1-Day Move: |
| 0.63% | 0.63% |
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| SG Implied 5-Day Move: |
| 1.81% |
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| SG Implied 1-Day Move High: |
| After open | After open |
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| SG Implied 1-Day Move Low: |
| After open | After open |
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| SG Volatility Trigger™: | $6721.26 | $6665 | $662 | $24490 | $598 | $2455 | $242 |
| Absolute Gamma Strike: | $6056.26 | $6000 | $660 | $24700 | $600 | $2450 | $240 |
| Call Wall: | $6756.26 | $6700 | $670 | $24700 | $600 | $2500 | $250 |
| Put Wall: | $6556.26 | $6500 | $655 | $24410 | $595 | $2390 | $232 |
| Zero Gamma Level: | $6674.26 | $6618 | $662 | $24517 | $597 | $2451 | $245 |
|
| SPX | SPY | NDX | QQQ | RUT | IWM |
|---|---|---|---|---|---|---|
| Gamma Tilt: | 1.106 | 0.777 | 1.268 | 0.836 | 0.914 | 0.768 |
| Gamma Notional (MM): | $293.347M | ‑$600.996M | $18.058M | ‑$241.202M | ‑$9.934M | ‑$285.539M |
| 25 Delta Risk Reversal: | -0.045 | -0.028 | -0.053 | 0.00 | -0.024 | -0.006 |
| Call Volume: | 617.20K | 1.342M | 11.322K | 702.933K | 33.828K | 376.644K |
| Put Volume: | 1.075M | 2.322M | 16.483K | 1.56M | 50.978K | 1.017M |
| Call Open Interest: | 6.998M | 4.987M | 73.536K | 3.322M | 242.908K | 3.228M |
| Put Open Interest: | 12.772M | 12.395M | 95.603K | 5.797M | 433.885K | 7.75M |
| Key Support & Resistance Strikes |
|---|
| SPX Levels: [6000, 6700, 6600, 6650] |
| SPY Levels: [660, 665, 640, 655] |
| NDX Levels: [24700, 24710, 24400, 24410] |
| QQQ Levels: [600, 590, 595, 585] |
| SPX Combos: [(6976,72.66), (6950,86.02), (6923,77.81), (6903,96.25), (6877,83.04), (6850,95.65), (6823,91.11), (6797,99.14), (6777,97.28), (6757,87.07), (6750,97.81), (6743,80.32), (6737,93.68), (6730,84.85), (6723,97.53), (6717,90.93), (6710,91.78), (6704,89.13), (6697,99.75), (6690,91.39), (6684,92.97), (6677,96.33), (6670,80.15), (6657,78.76), (6644,83.31), (6637,86.04), (6624,83.95), (6617,96.38), (6610,84.05), (6604,84.44), (6597,92.83), (6590,72.98), (6584,76.95), (6577,97.85), (6564,81.96), (6550,83.87), (6537,71.75), (6524,86.08), (6517,78.17), (6504,91.52), (6497,95.04), (6477,80.70), (6451,81.82), (6424,84.42), (6397,90.06), (6351,82.88)] |
| SPY Combos: [667.51, 670.17, 672.17, 677.51] |
| NDX Combos: [24703, 24408, 24236, 24261] |
| QQQ Combos: [604.61, 597.98, 596.18, 608.22] |
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